11. Which of the following statements is most likely true about combining a benchmark portfolio
with an active portfolio?
A. When given a choice, the fund manager with the highest information ratio should be
selected to manage the portfolio.
B. When combining an active portfolio with a benchmark portfolio, the optimal level of risk
is given as the product of information ratio of the active portfolio and Sharpe ratio of the
benchmark portfolio.
C. Selecting the portfolio with the highest Information ratio does not necessarily ensure that
the Sharpe ratio would be highest as well.
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